好 究 所 行业轮动 [F策略周报 (20250922-20250928) 证券研究报告·策略周报 证券分析师:张一 S0670524030001 010-83270999-97050 zhangyi@cnht.com.cn 2025年9月29日 证券分析师:李杜 S0670524040001 021-50800937 l idu@cnht. com. cn 策略说明: · 金融街证券研究所基于策略报告《行业轮动下的策略组合报告:基于行业风格延续和 切换视角下的定量分析》(20241007)和《股票型ETF市场概览与配置方法研究:以基 于行业轮动策略的ETF组合为例》(20241013),构建基于行业和主题ETF的策略组合。 策略更新: | 基金代码 | ETF 名称 | ETF市值 | 持有情况 | 重仓申万 行业 | | 周度择时信号 日度择时信号 | | --- | --- | --- | --- | --- | --- | --- | | | | (亿元) | | 及权重 | 参考 | 参考 | | 159227 | 航空航天ETF | 13.51 | 继续持有 | 航空装备 (58.23%) | 1 ...

证券之星消息，9月15日，钢铁ETF（515210）融资买入1042.69万元，融资偿还944.87万元，融资净买 入97.82万元，融资余额3977.95万元，近3个交易日已连续净买入累计457.5万元，近20个交易日中有11 个交易日出现融资净买入。 | 交易日 | 融资净买入(元) | 融资余额(元) | 占流通市值比 | | --- | --- | --- | --- | | 2025-09-15 | 97.82万 | 3977.95万 | | | 2025-09-12 | 336.80万 | 3880.13万 | | | 2025-09-11 | 22.88万 | 3543.32万 | | | 2025-09-10 | 85.57万 | 3520.44万 | | | 2025-09-09 | -342.64万 | 3434.87万 | | | 交易日 | 两融余额(元) | 余额变动(元) | 变动幅度 | | --- | --- | --- | --- | | 2025-09-15 | 4119.95万 | 95.12万 | 2.36% | | 2025-09-12 | 4024.82万 | 33 ...

证券之星消息，9月12日，钢铁ETF（515210）融资买入1432.8万元，融资偿还1096.0万元，融资净买入 336.8万元，融资余额3880.13万元，近3个交易日已连续净买入累计445.26万元。 | 交易日 | 融资净买入(元) | | 融资余额(元) | 占流通市值比 | | --- | --- | --- | --- | --- | | 2025-09-12 | | 336.80万 | 3880.13万 | | | 2025-09-11 | | 22.88万 | 3543.32万 | | | 2025-09-10 | | 85.57万 | 3520.44万 | | | 2025-09-09 | | -342.64万 | 3434.87万 | | | 2025-09-08 | | -149.54万 | 3777.51万 | | 融券方面，当日融券卖出3.0万股，融券偿还3.0万股，融券净卖出0.0股，融券余量101.4万股，近20个交 易日中有12个交易日出现融券净卖出。 融资融券余额4024.82万元，较昨日上涨9.19%。 | 交易日 | 两融余额(元) | 余额变动(元) | 变动幅度 | ...

证券之星消息，8月5日，钢铁ETF（515210）融资买入964.88万元，融资偿还909.67万元，融资净买入 55.21万元，融资余额5214.69万元，近3个交易日已连续净买入累计139.04万元，近20个交易日中有12个 交易日出现融资净买入。 | 交易日 | 融资净买入(元) | | 融资余额(元) | 占流通市值比 | | --- | --- | --- | --- | --- | | 2025-08-05 | | 55.21万 | 5214.69万 | | | 2025-08-04 | | 43.92万 | 5159.48万 | | | 2025-08-01 | | 39.91万 | 5115.57万 | | | 2025-07-31 | | 64.77万 | 5075.65万 | | | 2025-07-30 | | -683.88万 | 5010.88万 | | | 交易日 | 两融余额(元) | 余额变动(元) | 变动幅度 | | --- | --- | --- | --- | | 2025-08-05 | 5234.08万 | 69.13万 | 1.34% | | 2025-08-04 ...

Core Viewpoint - The behavior of leading funds in the market is determined by the positioning of the market, which in turn influences the structure and pattern of industries that experience growth. Historically, liquidity-driven markets tend to concentrate on strong sectors rather than rotating between high and low performers [1][2]. Group 1: Market Behavior and Trends - In liquidity-driven markets, once a sector gains consensus, its strong performance tends to persist until the end of the market cycle [2]. - Strong sectors often see their peak performance occur later than mid-tier sectors, indicating a lack of significant high-low rotation [2]. - The excess returns of leading sectors compared to mid-tier and low-tier sectors tend to expand throughout the market cycle [2]. Group 2: Investment Focus and Sector Performance - Current focus remains on sectors such as AI, innovative pharmaceuticals, resources, and the STAR Market [1][6]. - In July, sectors with strong industrial trends, such as innovative pharmaceuticals and rare metals, outperformed, with ETFs recording significant gains: Communication ETF at 20.4%, Innovative Pharmaceutical ETF at 16.9%, and Rare Metals ETF at 15.4% [5]. - Conversely, sectors relying on short-term speculative themes, like coal, saw significant pullbacks, indicating a preference for strong trend sectors over low-positioned ones [5]. Group 3: Liquidity and Market Dynamics - Recent marginal slowdown in incremental liquidity suggests that the market needs to cool down for sustainable growth [6]. - Public mutual funds experienced a net outflow of approximately 25.1 billion in July, following a rare net inflow in June, indicating a shift in investor sentiment [7]. - Despite some outflows, industry and thematic ETFs saw net inflows, driven primarily by individual investors, with significant inflows into cyclical, manufacturing, and technology ETFs [7]. Group 4: Sector-Specific Insights - AI sector faces uncertainty regarding the transition from North American supply chains to domestic ones, with current trends reflecting more on industrial trends than pure valuation [8]. - The innovative pharmaceuticals sector is supported by potential business development expectations, with large pharmaceutical companies still having room for valuation growth compared to previous years [9]. - Resource stocks are currently well-matched in terms of fundamentals and valuations, with price increases reflecting earnings elasticity due to supply constraints and slow demand growth [10]. Group 5: Long-term Investment Considerations - The "15th Five-Year Plan" guidance is anticipated to provide clearer, quantifiable constraints on industry capacity expansion, which could stabilize long-term supply-demand relationships [4]. - The semiconductor sector, particularly the STAR Market, is expected to see a resurgence, especially if optimistic guidance is provided by key players like SMIC [10].

Group 1 - The ETF market showed mixed performance on the 31st, with the Nasdaq Technology ETF (159509) leading gains at 2.38% [2] - The US 50 ETF (159577) and US 50 ETF (513850) also saw positive movements, increasing by 2.17% and 2.02% respectively [2] - Conversely, the Hang Seng Consumer ETF (159699) experienced the largest decline, dropping by 7.39% [2] Group 2 - The Real Estate ETF (159707) fell by 4.12%, while the Steel ETF (515210) decreased by 3.98% [2]

Group 1 - The Nasdaq Technology ETF (159509) led the gains with an increase of 2.38% [1] - The US 50 ETF (159577) rose by 2.17% [1] - The US 50 ETF (513850) increased by 2.02% [1] Group 2 - The Hang Seng Consumer ETF (159699) experienced the largest decline, falling by 7.39% [1] - The Real Estate ETF (159707) decreased by 4.12% [1] - The Steel ETF (515210) dropped by 3.98% [1]

Group 1 - The ETF market showed mixed performance on the 31st, with the leading sector being the AI-focused ETFs in the ChiNext market [2] - The Huabao AI ETF (159363) led the gains with an increase of 4.21%, followed closely by the Guotai AI ETF (159388) at 4.11% and the Fortune AI ETF (159246) at 4.02% [2] - In contrast, the real estate ETF (159707) experienced the largest decline, falling by 3.66%, followed by the mining ETF (561330) down 3.41% and the steel ETF (515210) down 3.36% [2]

Market Overview - The Shanghai Composite Index fell by 0.68% at midday, while the Shenzhen Component Index rose by 0.43% [1] - The AI hardware sector saw a significant rally, with multiple ETFs related to artificial intelligence experiencing gains of around 4% [5] - The real estate sector faced notable declines, with ETFs related to real estate dropping by 3.66% and 3.06% respectively [6] Sector Performance - The AI application sector and liquid cooling concepts began to see a rebound, contributing to the overall strength of the AI industry [1] - Innovative pharmaceuticals continued to show strong performance, with several ETFs in this sector rising by approximately 2.93% to 2.55% [5] - Cyclical stocks, including steel, coal, and rare earth sectors, continued to adjust downwards, reflecting a broader market trend [1][6]

Group 1 - The core viewpoint of the article highlights the mixed performance of ETFs during the midday trading session, with notable gains in AI-related ETFs and losses in real estate and mining ETFs [1] Group 2 - The leading performer was the Huabao AI ETF (159363), which increased by 4.21% [1] - The Guotai AI ETF (159388) followed closely with a rise of 4.11% [1] - The Fuguo AI ETF (159246) also showed a positive trend, gaining 4.02% [1] Group 3 - On the downside, the real estate ETF (159707) experienced the largest decline, falling by 3.66% [1] - The mining ETF (561330) decreased by 3.41% [1] - The steel ETF (515210) saw a drop of 3.36% [1]